Check out http://support.microsoft.com/default.aspx?scid=KB;EN-US;Q101898&
("Keyboard Light Indicator Disabled when User Logs On")

The scoop is to modify the following registry key:

HKEY_USERS\DEFAULT\Control Panel\Keyboardkey. The InitialKeyboardIndicators subkey
is of type REG_SZ and can have a value of 0 (NumLock Off, the default value) or 2 (NumLock On).

Run the Registry Editor (REGEDIT.EXE).
Open HKEY_CURRENT_USER\Control Panel\Keyboard (If the Keyboard key isn't there, add it.)
Double-click the InitialKeyboardIndicators value on the right. (If it's not there, select
New from the Edit menu, then String Value, and type InitialKeyboardIndicators for the name
of the new value.)
Change the value to any of the following:
0 - all indicators off
1 - Caps Lock on
2 - Num Lock on
4 - Scroll Lock on
Or, combine them by adding the corresponding values:
3 - Caps Lock and Num Lock on
5 - Caps Lock and Scroll Lock on
6 - Num Lock and Scroll Lock on
7 - Caps Lock, Num Lock, and Scroll Lock on
Close the Registry Editor when you're done; the change should take effect the next time you start Windows.